Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0084
Annualized Std Dev 0.1665
Annualized Sharpe (Rf=0%) -0.0503

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1390
Quartile 1 -0.0041
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0046
Maximum 0.2462
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0105
Skewness 0.8071
Kurtosis 78.9565

Downside Risk

Close
Semi Deviation 0.0076
Gain Deviation 0.0082
Loss Deviation 0.0090
Downside Deviation (MAR=210%) 0.0124
Downside Deviation (Rf=0%) 0.0076
Downside Deviation (0%) 0.0076
Maximum Drawdown 0.5453
Historical VaR (95%) -0.0139
Historical ES (95%) -0.0242
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2003-06-13 2008-10-10 NA -0.5453 4474 1343 NA
1999-01-07 1999-12-14 2002-05-16 -0.2716 843 237 606
2002-10-09 2002-10-21 2003-05-29 -0.1229 160 9 151
2002-05-17 2002-05-22 2002-07-15 -0.0415 40 4 36
2002-07-16 2002-07-24 2002-08-09 -0.0394 19 7 12

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -2 -0.7 -1.3 0.6 -0.7 0 0 0.8 -0.8 -2.2 1.6 0.8 -3.8
2000 -1.5 0 0.8 -0.8 0.8 -0.8 -0.8 0 1.5 -0.7 0 2.2 0.7
2001 0.7 1.3 0.2 -1 0.1 0 -0.2 -0.1 0.7 0.8 0.4 7.5 10.8
2002 0.8 0.2 1.3 0.4 -0.4 -0.3 0.9 0.4 0.6 -0.8 0.4 0.3 3.8
2003 0.4 0.1 0 0 -1.8 -0.1 0.9 0.2 -0.3 0.6 -0.2 0.5 0.4
2004 -0.2 -0.4 -0.5 1.1 -0.2 1 0.8 0 0 0.2 0.6 0.1 2.5
2005 0 0 0.5 -0.7 1.2 -0.6 0.4 0.4 0.5 0 0.4 0 2.1
2006 0 0.1 0 0.1 0.8 -0.7 0.6 0.7 0 0.1 0.3 0.4 2.4
2007 -0.9 -0.5 0.3 0.2 -0.2 1.3 -1 -0.1 0.5 -0.1 1.4 0.4 1.1
2008 0.9 -0.6 -0.2 0.5 0 0.7 -0.1 0.7 2.4 -1.5 -1.4 2 3.3
2009 -0.2 1.2 0.6 0.1 1 0.7 0.1 0.8 0.1 -0.8 0.3 0.2 4.4
2010 1.3 0 0.6 -0.7 1 0.1 1.2 -0.5 0.3 0.1 -1.3 2.4 4.3
2011 1.1 0.7 -0.4 0.6 0.4 1.5 1.6 0.1 0.5 -1.2 1 0 6.1
2012 0.8 0.4 0.3 0.1 -0.6 0.5 -0.2 0.4 -0.2 -0.3 -0.6 -1 -0.4
2013 -0.2 0.8 0.1 -0.2 -2 0.2 -0.6 -0.7 -0.1 -1.5 0.1 -0.8 -4.7
2014 0.2 -0.4 -0.1 0.6 0.1 0.2 0.8 0.1 -0.2 -0.4 -0.5 -0.1 0.5
2015 1 1 -0.4 -0.6 -0.4 -0.4 0.5 -0.6 0.7 -0.1 1 -0.1 1.6
2016 0.9 0 0.7 0.3 1 -0.1 -0.3 0.4 0.5 0.6 -0.7 0.7 4.1
2017 0.3 0 -0.6 -0.2 0.3 0.6 0.2 0.4 -0.4 -0.5 -0.1 -0.3 -0.2
2018 -0.5 -0.1 0.8 0.3 0.4 0.3 0.1 0.1 -0.5 0.3 0.4 0.1 1.7
2019 0.7 -0.1 0.4 0.9 0.2 0.2 0.8 0.1 0.7 -0.7 1.8 -0.1 5
2020 0.6 -3.7 -2.1 0.7 0.7 0.5 0.6 0.5 0.4 -0.2 0.8 0.8 -0.7
2021 -0.6 1 -1.3 NA NA NA NA NA NA NA NA NA -1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  10   SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  10.1 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  10.1 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  10.1 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  10.1 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  10.1 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart